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Financial services / Financial ratios / Financial markets / Institutional investors / Hedge fund / Efficient-market hypothesis / Sharpe ratio / Collective investment scheme / Bias ratio / Financial economics / Investment / Finance


An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns∗ Mila Getmansky, Andrew W. Lo, and Igor Makarov† This Draft: March 1, 2003 Abstract
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Document Date: 2003-06-17 13:27:52

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Company

MIT Laboratory / MIT Finance Student Lunch Group / Wall Street Journal / Patterson / Kao / /

Country

United States / /

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Facility

Memorial Drive / MIT Laboratory / /

IndustryTerm

by-product / finance theory / financial services / important tool / /

Organization

School of Management / MIT / Harvard / /

Person

Bob Merton / Stephanie Hogue / Svetlana Sussman / Jacob Goldfield / Atchison / Stephen Jupp / Igor Makarov / Myron Scholes / Andrew W. Lo / Bill Schwert / Paul Samuelson / /

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Position

smoothed broker-dealer / manager / Butler / fund manager / theme and underlying driver / Fisher / hedge-fund manager / Corresponding author / /

PublishedMedium

the Wall Street Journal / /

Technology

alpha / /

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